Success!!
Oddly enough, I forgot to install grub4dos bootloader, but it looks like the BIOS doesn't need the first partition to be active or even to be used, it only needs to be present. On bootup, pfSense bootloader shows
F1 Win
F2 pfSense
and F2 is already selected, and autoboots.
The only issue I'm having at the moment, is that the installer failed to create the Swap partition - err, sorry - Swap "slice". I'm more accustomed to Linux way of doing things - they don't use slices.
Back on topic, How do I manually create the swap slice? I only have 1 GB of RAM.